Takvim Anomalilerinin Hisse Getirileri ve Varyansı Üzerindeki Etkisi: Türkiye Hisse Senedi Piyasası Üzerinde Bir Çalışma

Yıl 2018, , 221 - 238, 12.02.2018

Mutlu Başaran Öztürk , Mustafa Uysal , Halil Arslan Temur Kayhan

https://doi.org/10.25287/ohuiibf.381031

Cited By: 5

Öz

Son dönemde davranışsal finansa
yönelik çalışmalarda bir artış gözlenmektedir. Fama’nın (1970) EMH’ne göre tüm
bilgi, hisse değerlemelerinde fiyatlandığı için ucuz hisse senedinin
varlığından söz edilemez. Davranışsal finans piyasada bir çok anomali
bulunduğunu iddia etmektedir. Literatürde haftanın günleri, Ocak ayı etkisi ve
dini günlerin hisse senedi piyasalarının getirileri ve oynaklığı üzerinde
etkilerinin olabileceğine yönelik çalışmalar yer almaktadır. Türkiye örneğinde
BIST100 ve İslami Endeks göstergesi olan KAT30 getirileri ve oynaklığı üzerine
söz konusu anomaliler test edilmiştir. Haftanın günleri, Ocak ayı ve Ramazan
ayının hem geleneksel hem de İslami hisse senedi endeksinin getirileri ve
oynaklığı üzerinde herhangi bir etkisi bulunmadığı sonucuna ulaşılmıştır. Söz
konusu sonuç Türk piyasasının bu anlamda daha verimli bir market olduğu ve
Fama’nın EMH’ne göre hareket ettiği varsayımını güçlendirmiştir. Zamanlamanın
Türk yatırımcının stratejilerinde kayda değer bir etkiye sahip olmadığı
gözlenmiştir.

Anahtar Kelimeler

Davranışsal Finans, EMH, Ramazan Etkisi, Anomaliler

THE IMPACT OF CALENDAR ANOMALIES ON STOCK RETURN AND VOLATILITY: EVIDENCE FROM TURKISH STOCK MARKET

Öz

There has been a rise in recent studies on behavioral finance. According to Fama (1970) all
information is priced, so it cannot be said about the undervalued stock. However, behavioral finance asserts
that there are many anomalies in the market. The effects of days of the week, January effect and religious
days on the returns and volatility of the stock markets were examined in the literature. In the case of Turkey,
aforementioned anomalies are tested using returns and volatility of BIST100 and KAT30 indices. As a result,
days of the week, January effect and Ramadan effect have no any effect on returns and volatility of both
conventional and unconventional stock indices. The result has strengthened the assumption that Turkish
market is more efficient in this sense and in line with Fama’s EMH. It has been observed that timing does not
have a significant effect on the strategies of Turkish investor

Anahtar Kelimeler

Behavioral Finance, EMH, Ramadan Efect, Anomalies

Kaynakça

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